If you view your mail in Mail.app without organizing by thread, you can still traverse the next and previous messages in the thread by hitting option+up arrow or option+down arrow instead, browsing to it manually.

This is very interesting, and good to know. Note, however, that it only works when you're browsing the top-level inbox. If you have several accounts, and you have a specific account selected, option-up/down operate just as if the option key were not held down.